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Does sovereign risk differ for domestic and foreign investors? : historical evidence from Scandinavian bond markets

Waldenström, Daniel (contributor) - 2005 - [Elektronische Ressource], Rev. February 18, 2005

This paper shows that geographical investor heterogeneity strongly influences sovereign risk. While standard sovereign debt models mainly attribute the absence of sovereign defaults to foreign creditor retaliation, a new theoretical literature argues that domestic creditors also affect borrowing...

Persistent link: https://www.econbiz.de/10002577962

Stylized facts of financial time series and three popular models of volatility

Malmsten, Hans (contributor); Teräsvirta, Timo (contributor) - 2004 - [Elektronische Ressource], Rev. September 3, 2004

Properties of three well-known and frequently applied first-order models for modelling and forecasting volatility in … Conditional Heteroskedasticity (GARCH), the Exponential GARCH and the Autoregressive Stochastic Volatility model. The focus is on … heteroskedasticity ; evaluation of volatility models ; exponential GARCH ; GARCH ; modelling return series ; stochastic volatility …

Persistent link: https://www.econbiz.de/10002199620

A nonlinear time series model of El Niño

Hall, Anthony D.; Skalin, Joakim; Teräsvirta, Timo - 1998

Persistent link: https://www.econbiz.de/10000994162

Is there evidence of pessimism and doubt in subjective distributions? : a comment on Abel

Giordani, Paolo (contributor); Söderkind, Paul (contributor) - 2002 - [Elektronische Ressource], Rev. October 1, 2003

Abel (2002) shows that pessimism and doubt in the subjective distribution of the growth rate of consumption reduce the riskfree rate puzzle and the equity premium puzzle. We quantify the amount of pessimism and doubt in survey data on US consumption and income. Individual forecasters are in fact...

Persistent link: https://www.econbiz.de/10001729353

A latent factor model of European exchange rate risk premia

Alexius, Annika; Sellin, Peter - 1997

Persistent link: https://www.econbiz.de/10000958083

A dynamic conditionally heteroscedastic stochastic frontier model

Löthgren, Mickael - 1998

Persistent link: https://www.econbiz.de/10000984774

A return to the convertibility principle? : monetary and fiscal regimes in historical perspective ; the international evidence

Bordo, Michael D. (contributor); Jonung, Lars (contributor) - 2000 - [Elektronische Ressource]

What is the long-run relationship between monetary and fiscal policies? This paper provides an answer by examining a large set of data covering major economies during the past 115 years. The evidence suggests the existence of a close interaction between the monetary regime, that is the behaviour...

Persistent link: https://www.econbiz.de/10001600040

An economic analysis of securities market regulation and supervision : where to go after the Lamfalussy report?

Niemeyer, Jonas (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001637940

Success factors in asset management

Engström, Stefan - 2001

Persistent link: https://www.econbiz.de/10001628153

The association between accounting information and stock prices : model development and empirical tests based on Swedish data

Runsten, Mikael - 1998

Persistent link: https://www.econbiz.de/10000990952

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